^SOX vs. ^GSPC

Last updated Apr 3, 2026

Compare and contrast key facts about PHLX Semiconductor Index (^SOX) and S&P 500 Index (^GSPC).

Performance

^SOX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PHLX Semiconductor Index (^SOX) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

^SOX vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^SOX PHLX Semiconductor Index	10.59%	42.23%	19.27%	64.90%	-35.83%	41.16%	51.14%	60.12%	-7.81%	38.23%
^GSPC S&P 500 Index	-3.84%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Returns By Period

In the year-to-date period, ^SOX achieves a 10.59% return, which is significantly higher than ^GSPC's -3.84% return. Over the past 10 years, ^SOX has outperformed ^GSPC with an annualized return of 27.77%, while ^GSPC has yielded a comparatively lower 12.29% annualized return.

^SOX

• 1D: 0.40%
• 1M: 0.88%
• YTD: 10.59%
• 6M: 18.22%
• 1Y: 81.30%
• 3Y*: 34.77%
• 5Y*: 19.31%
• 10Y*: 27.77%

^GSPC

• 1D: 0.11%
• 1M: -3.43%
• YTD: -3.84%
• 6M: -1.98%
• 1Y: 16.08%
• 3Y*: 16.86%
• 5Y*: 10.37%
• 10Y*: 12.29%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^SOX vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SOX

^SOX Risk / Return Rank: 94
^SOX Sharpe Ratio Rank: 93
^SOX Sortino Ratio Rank: 94
^SOX Omega Ratio Rank: 93
^SOX Calmar Ratio Rank: 96
^SOX Martin Ratio Rank: 97

^GSPC

^GSPC Risk / Return Rank: 58
^GSPC Sharpe Ratio Rank: 52
^GSPC Sortino Ratio Rank: 55
^GSPC Omega Ratio Rank: 59
^GSPC Calmar Ratio Rank: 52
^GSPC Martin Ratio Rank: 71

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^SOX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PHLX Semiconductor Index (^SOX) and S&P 500 Index (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	^SOX	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	2.03	0.88	+1.15
Sortino ratio Return per unit of downside risk	2.64	1.37	+1.27
Omega ratio Gain probability vs. loss probability	1.37	1.21	+0.17
Calmar ratio Return relative to maximum drawdown	4.73	1.39	+3.34
Martin ratio Return relative to average drawdown	17.21	6.43	+10.78
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^SOX vs. ^GSPC - Sharpe Ratio Comparison

The current ^SOX Sharpe Ratio is 2.03, which is higher than the ^GSPC Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of ^SOX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^SOX	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.03	0.88	+1.15
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.54	0.62	-0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.83	0.68	+0.15
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	0.46	-0.09

Correlation

The correlation between ^SOX and ^GSPC is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

^SOX vs. ^GSPC - Drawdown Comparison

The maximum ^SOX drawdown since its inception was -87.15%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^SOX and ^GSPC.

Drawdown Indicators

	^SOX	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-87.15%	-56.78%	-30.37%
Max Drawdown (1Y) Largest decline over 1 year	-15.65%	-9.10%	-6.55%
Max Drawdown (5Y) Largest decline over 5 years	-46.47%	-25.43%	-21.04%
Max Drawdown (10Y) Largest decline over 10 years	-46.47%	-33.92%	-12.55%
Current Drawdown Current decline from peak	-7.49%	-5.67%	-1.82%
Average Drawdown Average peak-to-trough decline	-39.67%	-10.75%	-28.92%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.82%	2.62%	+2.20%

Volatility

^SOX vs. ^GSPC - Volatility Comparison

PHLX Semiconductor Index (^SOX) has a higher volatility of 12.62% compared to S&P 500 Index (^GSPC) at 5.29%. This indicates that ^SOX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^SOX	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	12.62%	5.29%	+7.33%
Volatility (6M) Calculated over the trailing 6-month period	26.42%	9.55%	+16.87%
Volatility (1Y) Calculated over the trailing 1-year period	40.29%	18.33%	+21.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	35.88%	16.90%	+18.98%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	33.48%	18.04%	+15.44%